Exam Details
| Subject | risk management and derivatives | |
| Paper | ||
| Exam / Course | master of business administration | |
| Department | ||
| Organization | Gondwana University | |
| Position | ||
| Exam Date | 2018 | |
| City, State | maharashtra, gadchiroli |
Question Paper
GUG/W/18/10708 1 P.T.O
Master of Business Administration (Old and CBCS Pattern) Third Semester Old+CBCS
PAPER-MBA236B PCB3EB2 Risk Management and Derivatives
P. Pages 1 GUG/W/18/10708
Time Three Hours Max. Marks 70
Notes 1. Attempt any five questions.
2. All questions carry equal marks.
1.
A Portfolio consist of three securities Q R with the following parameters.
Particular
Security
P
Q
R
Expected Return
25
22
20
Standard deviation
30
26
24
Coefficient of correlation PQ 0.5
Q.R. 0.4
PR 0.6
If the securities are equally weighted, how much is the risk and return of the portfolio of these three securities?
14
2.
The equity shares of R Ltd. are being sold at 210. A 3 month call option is available for a premium of 6 per share and 3 month put option is available for a premium of 5 per share. Find out the net pay off of the option holder of the call option put option given that: The strike price in both cases is 220. ii) The share price on the exercise day is 200, or 210 or 220 or 230 or 240.
14
3.
A company operating in Japan has today effected sales to an Indian company, the payment being due 3 month from the date of invoice. The invoice amount is 108 lakhs Yen. At today's spot rate, it is equivalent to 30 lakhs. It is anticipated that the exchange rate will decline by 10% over the 3 months period and in order to protect the Yen payments the importer proposes to take appropriate action in the foreign exchange market. The 3 month forward rate is presently quoted as 3.3 Yen per rupee. You are required to calculate the expected loss and to show it can be hedged by a forward contract.
14
4.
Explain the risk return relationship formulized by Harry Markowitz. In the efficient model. Explain how the optimum portfolio is determined, if the risk free securities are present.
14
5.
What do you mean by straddle? Is it possible to make profit irrespective of increase or decrease in price of the underlying asset.
14
6.
Explain in details criteria for Stocks and Index eligibility for Trading.
14
7.
What type of risk exposures are faced by a firm which is dealing with Foreign Exchange.
14
8.
interest rate swap is a financial contract between two parties who wish to change the interest payment or receipt in the same currency on assets or liabilities to a different basis.' Discuss.
14
9.
'Distinguish between Fixed rate and Floating rate interest obligations' in view of hedging foreign exchange rate risk?
14
10.
Write a note on any two.
Concept of Credit derivatives. Risk Management practices in India.
Terminologies used in Futures Market. Free Float Market Capitalization.
14
*2873*
Master of Business Administration (Old and CBCS Pattern) Third Semester Old+CBCS
PAPER-MBA236B PCB3EB2 Risk Management and Derivatives
P. Pages 1 GUG/W/18/10708
Time Three Hours Max. Marks 70
Notes 1. Attempt any five questions.
2. All questions carry equal marks.
1.
A Portfolio consist of three securities Q R with the following parameters.
Particular
Security
P
Q
R
Expected Return
25
22
20
Standard deviation
30
26
24
Coefficient of correlation PQ 0.5
Q.R. 0.4
PR 0.6
If the securities are equally weighted, how much is the risk and return of the portfolio of these three securities?
14
2.
The equity shares of R Ltd. are being sold at 210. A 3 month call option is available for a premium of 6 per share and 3 month put option is available for a premium of 5 per share. Find out the net pay off of the option holder of the call option put option given that: The strike price in both cases is 220. ii) The share price on the exercise day is 200, or 210 or 220 or 230 or 240.
14
3.
A company operating in Japan has today effected sales to an Indian company, the payment being due 3 month from the date of invoice. The invoice amount is 108 lakhs Yen. At today's spot rate, it is equivalent to 30 lakhs. It is anticipated that the exchange rate will decline by 10% over the 3 months period and in order to protect the Yen payments the importer proposes to take appropriate action in the foreign exchange market. The 3 month forward rate is presently quoted as 3.3 Yen per rupee. You are required to calculate the expected loss and to show it can be hedged by a forward contract.
14
4.
Explain the risk return relationship formulized by Harry Markowitz. In the efficient model. Explain how the optimum portfolio is determined, if the risk free securities are present.
14
5.
What do you mean by straddle? Is it possible to make profit irrespective of increase or decrease in price of the underlying asset.
14
6.
Explain in details criteria for Stocks and Index eligibility for Trading.
14
7.
What type of risk exposures are faced by a firm which is dealing with Foreign Exchange.
14
8.
interest rate swap is a financial contract between two parties who wish to change the interest payment or receipt in the same currency on assets or liabilities to a different basis.' Discuss.
14
9.
'Distinguish between Fixed rate and Floating rate interest obligations' in view of hedging foreign exchange rate risk?
14
10.
Write a note on any two.
Concept of Credit derivatives. Risk Management practices in India.
Terminologies used in Futures Market. Free Float Market Capitalization.
14
*2873*
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